Download Derivatives: The Theory and Practice of Financial Engineering (Frontiers in Finance Series), by Paul Wilmott
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Derivatives: The Theory and Practice of Financial Engineering (Frontiers in Finance Series), by Paul Wilmott
Download Derivatives: The Theory and Practice of Financial Engineering (Frontiers in Finance Series), by Paul Wilmott
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Derivatives by Paul Wilmott provides the most comprehensive and accessible analysis of the art of science in financial modeling available. Wilmott explains and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques. Paul Wilmott has produced a compelling and essential new work in this field.
The basics of the established theories-such as stochastic calculus, Black-Scholes, binomial trees and interest-rate models-are covered in clear and precise detail, but Derivatives goes much further. Complex models-such as path dependency, non-probabilistic models, static hedging and quasi-Monte Carlo methods-are introduced and explained to a highly sophisticated level. But theory in itself is not enough, an understanding of the role the techniques play in the daily world of finance is also examined through the use of spreadsheets, examples and the inclusion of Visual Basic programs.
The book is divided into six parts:
Part One: acts as an introduction and explanation of the fundamentals of derivatives theory and practice, dealing with the equity, commodity and currency worlds.
Part Two: takes the mathematics of Part One to a more complex level, introducing the concept of path dependency.
Part Three: concerns extensions of the Black-Scholes world, both classic and modern.
Part Four: deals with models for fixed-income products.
Part Five: describes models for risk management and measurement.
Part Six: delivers the numerical methods required for implementing the models described in the rest of the book.
Derivatives also includes a CD containing a wide variety of implementation material related to the book in the form of spreadsheets and executable programs together with resource material such as demonstration software and relevant contributed articles.
At all times the style remains readable and compelling making Derivatives the essential book on every finance shelf.
- Sales Rank: #1902636 in Books
- Published on: 1998-11-24
- Ingredients: Example Ingredients
- Format: Unabridged
- Original language: English
- Number of items: 1
- Dimensions: 9.76" h x 1.62" w x 7.50" l,
- Binding: Paperback
- 768 pages
Most helpful customer reviews
0 of 0 people found the following review helpful.
Five Stars
By Amazon Customer
It's great condition.
9 of 11 people found the following review helpful.
Highly readable, immediately useful
By the Barman
Derivatives is the best book I have read on derivatives theory and pricing. It includes clearly written and readable theory on derivatives pricing, from plain vanilla to exotic options. Worked examples using Excel or Visual Basic span the gap between theory and implementation, which is often overlooked in other textbooks. In terms of usefulness, I would compare it to Tuckman's Fixed Income Securities.
14 of 17 people found the following review helpful.
A good first book on the PDE approach to derivative pricing.
By A Customer
Wilmott's Derivatives is an accessible introduction to the partial differential equation (PDE) approach to mathematical finance.
The basis of mathematical finance is the observation by Black and Scholes that when pricing a derivative contract, for example a stock option, the randomness of the value of the underlying stock can be used to balance the randomness in value of the option in such a manner as to eliminate all randomness. A trader can thus by continually rebalancing his positions guarantee the price of an option. This price is the solution to the famous Black-Scholes equation. Thus the pricing of derivatives becomes a suprisingly rigourous branch of mathematics.
The Black-Scholes equation itself is not a particularly difficult equation -- indeed a few simple changes of variables transform it into the one-dimensional heat equation and a closed-form solution for the price of an option can be written down. The proof that it holds and the implications of the proof are however not so trivial and the book does well at explaining these.
Mathematical finance does not end with the Black-Scholes equation for two reasons. The first is that more and more complicated derivatives products are continually being innovated which require new mathematics to be invented. The second is that the equation is based on certain assumptions which while providing a reasonable first approximation are not perfect; the research of new more accurate models is therefore active and ongoing.
The author starts with the definitions of the basic financial instruments and gradually builds up to the Black-Scholes equation. He does so in a clear and detailed manner. He then goes on to discuss various generalizations to exotic options and more complicated models of stock price movements.
The principal defect of the book is that mathematical finance is not a branch of PDE theory or applied mathematics but rather a branch of probability theory. The probabilistic aspects of the subject are skimped on with only a brief coverage of binomial trees, and the concept of an equivalent martingale measure which is the fundamental concept of mathematical finance not discussed. Interest-rate options and many exotic stock options are more easily priced both practically and conceptually from a probabilitistic point of view and the PDE approach to them can become contrived.
To summarize, this book is worth buying but the reader should treat its contents with a pinch of salt and concentrate on the first two hundred pages. It should be read in parallel with another book, such as Baxter and Rennie, which concentrates on the probabilistic approach to the subject.
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